Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0032 |
| Annualized Std Dev | 0.2550 |
| Annualized Sharpe (Rf=0%) | -0.0126 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3034.0000 |
| NAs | 1.0000 |
| Minimum | -0.1537 |
| Quartile 1 | -0.0075 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1449 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0161 |
| Skewness | -0.7415 |
| Kurtosis | 14.0755 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.8312 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0384 |
| Modified VaR (95%) | -0.0250 |
| Modified ES (95%) | -0.0530 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-11-08 | 2020-03-23 | NA | -0.8312 | 2609 | 2358 | NA |
| 2009-10-13 | 2009-10-28 | 2010-03-02 | -0.1495 | 96 | 12 | 84 |
| 2009-02-10 | 2009-02-24 | 2009-03-17 | -0.1146 | 14 | 8 | 6 |
| 2010-04-27 | 2010-05-25 | 2010-06-15 | -0.1046 | 34 | 21 | 13 |
| 2009-06-15 | 2009-06-24 | 2009-07-01 | -0.0798 | 13 | 8 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | 3.3 | 0.7 | -1.3 | 2.3 | 3.6 | 1.1 | -6.3 | -1.4 | -1.6 | 1.9 | 1.6 | 3.6 |
| 2010 | 1.9 | 0.5 | 1.6 | -0.5 | 1.4 | 0.2 | 1.1 | 2.9 | -0.3 | 0.8 | 2.1 | 1 | 13.5 |
| 2011 | 0.2 | 0.7 | 0.8 | 0 | 0.1 | 0.5 | 0.8 | -0.2 | -2.6 | -3 | -0.7 | 0.3 | -3 |
| 2012 | 0.3 | 1.4 | -1.2 | 2.2 | -2.8 | 3 | -0.4 | 0.2 | -0.5 | -1.9 | 0 | 0.8 | 0.9 |
| 2013 | 0.8 | -0.2 | -0.2 | -1.1 | -3.3 | -0.2 | 1.8 | -0.1 | 1 | -0.3 | 0.4 | 0.1 | -1.2 |
| 2014 | -0.6 | 1.2 | 1.2 | 0.4 | 0 | 1.1 | 0.8 | 0.1 | -1.6 | 0.3 | -3.3 | -0.3 | -0.6 |
| 2015 | -1.2 | 0 | 2.9 | -0.7 | -1.5 | -1.5 | 0.6 | -3.9 | 0 | 0.1 | 0.3 | 0.8 | -4.2 |
| 2016 | -1.9 | 3.1 | 1.3 | -0.4 | -0.8 | 0.7 | -1.3 | 0.3 | -0.1 | -1 | 0.3 | -0.2 | -0.1 |
| 2017 | 0.2 | -0.3 | -0.1 | 0.4 | 1.2 | 0.9 | 1.4 | 1.1 | 0.2 | -0.1 | -0.3 | 0.2 | 4.9 |
| 2018 | 1.2 | -1.3 | 2.2 | -0.3 | 2.4 | 1 | -0.2 | -0.5 | 0.1 | 0.7 | -0.7 | 0 | 4.6 |
| 2019 | 0 | 0.1 | 0.6 | -0.9 | -1 | 0.5 | -2.6 | 0 | -0.7 | 3 | 0.6 | 0 | -0.6 |
| 2020 | -0.4 | -3.4 | -6.2 | -5.1 | 2.7 | 1.7 | -1.6 | 4.1 | -0.9 | 1.9 | 2.9 | -0.8 | -5.6 |
| 2021 | -0.3 | 2.1 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-02-09 30.9 SPY 87.1 0.0014 0.0547 -0.0433 -0.0414 -0.346 -0.306 -0.239 GLD 88.3 -0.0142 -0.0059
2 2009-02-10 30 SPY 83.1 -0.0458 -0.0075 -0.0671 -0.114 -0.379 -0.344 -0.274 GLD 90.2 0.0214 0.0197
3 2009-02-13 30.5 SPY 82.8 -0.0108 -0.0485 -0.0191 -0.0357 -0.388 -0.345 -0.284 GLD 92.6 -0.0067 0.033
4 2009-02-17 29.3 SPY 79.2 -0.0428 -0.0905 -0.0614 -0.131 -0.414 -0.380 -0.312 GLD 95.4 0.0313 0.0807
5 2009-02-18 29.4 SPY 79.0 -0.00240 -0.0491 -0.0709 -0.0876 -0.417 -0.384 -0.320 GLD 96.9 0.0153 0.0743
6 2009-02-19 29.6 SPY 78.2 -0.0107 -0.0648 -0.0297 -0.0853 -0.425 -0.395 -0.324 GLD 95.8 -0.0118 0.0377
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
